Conservatism, Accuracy and Efficiency: Comparing VaR Models
碩士 === 國立臺灣大學 === 商學研究所 === 88 === In line with the growing sophistication of risk management models, supervisors permit financial institutions to use their own VaR models in calculating the required minimum regulatory-capital to be held against those market risks. While the relative performance of...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2000
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| Online Access: | http://ndltd.ncl.edu.tw/handle/22759890374008855550 |